Commit Graph

10 Commits

Author SHA1 Message Date
Ricardo Andrés Marino Rojas 980cdeaa75 Remove fill warnings from order tags (#8668)
* Remove warnings from tags and tests

* Fix bugs

* fix bugs

* Revert wrong updates in some stats

* Fix bugs
2025-04-03 17:49:21 -03:00
Ricardo Andrés Marino Rojas cce8945fe8 Api Clean up, Documentation and Standarization part two (#7964)
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* Add improvements

* Add improvments and unit tests

* Add XML comments

* Nit changes

* Add unit tests for OrderJsonConverter

* Improve unit tests

* Address requested changes

* Fix bugs

* Fix bugs

* Fix bugs and self-review

* Fix bugs

* Address requested changes

* Fix unit test bug

* Fix bugs

* Improve unit tests

* Solve bugs
2024-04-26 13:17:34 -03:00
Martin-Molinero feff802479 Standardize trade count statistic (#7827)
* Standarize trade count statistic

* Rename 'Total Trades' to 'Total Orders'
2024-03-06 14:52:34 -03:00
Jhonathan Abreu 314a334e88 Price adjustment mode Order property (#7582)
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* Add new Order.PriceAdjustmentMode property

* Minor fix and unit test

* Minor fix and regression algorithms' stats update

* Unit test fixes

* Minor fix

* Set order price adjustment mode to raw always for live trading
2023-11-17 16:09:03 -04:00
Ricardo Andrés Marino Rojas b4bad69772 Dynamically Adjust Risk Free Rate of Return (#7489)
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* First attempt to solve the bug

* Enhance implementation

* Enhance implementation

* Simplify implementation

* Rebase regression stats

* Solve unit test bugs

* Review

* Update Rolling.Sharpe() method

* Update regression stats

* Update unit tests

* Update missing regression algos

* Update Rolling.cs

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2023-10-02 13:42:28 -03:00
Louis Szeto 279a306758 Update TrailingStopRiskManagementModel model to cancel insights (#7131)
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* Update risk model to cancel insight

* Updates Regression Tests

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-03-23 15:29:04 -03:00
Alexandre Catarino 0247b95edd Adds TrailingStopRiskFrameworkRegressionAlgorithm (#7132)
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Replaces old `TrailingStopRiskFrameworkAlgorithm` for `TrailingStopRiskFrameworkRegressionAlgorithm` that inherits from `BaseFrameworkRegressionAlgorithm` as a member of the framework regression tests.
2023-03-23 13:43:09 -03:00
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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* Refactor alpha statistics

- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
  algorithms

* Optimization backtest result json converter update

* Address reviews

- Remove IAlphaHandler, move insight storage responsability to IResultHandler
  and centralizing insight collection on the QCAlgorithm.Insights to be
  reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
  sampling handling. Updating regression algorithms

* Add InsightCollection tests and minor fixes

* Adding more & improved tests
2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Derek Melchin 0fa2ea19bc Reset trailing stop model highwater mark upon security liquidation (#6724)
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* Fix trailing stop reset

* Add regression algorithm
2022-11-07 17:46:46 -03:00